Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1067
Annualized Std Dev 0.2311
Annualized Sharpe (Rf=0%) 0.4616

Row

Daily Return Statistics

Close
Observations 4308.0000
NAs 1.0000
Minimum -0.1379
Quartile 1 -0.0060
Median 0.0012
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0079
Maximum 0.1074
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0146
Skewness -0.5212
Kurtosis 8.1715

Downside Risk

Close
Semi Deviation 0.0107
Gain Deviation 0.0097
Loss Deviation 0.0116
Downside Deviation (MAR=210%) 0.0151
Downside Deviation (Rf=0%) 0.0105
Downside Deviation (0%) 0.0105
Maximum Drawdown 0.5936
Historical VaR (95%) -0.0218
Historical ES (95%) -0.0350
Modified VaR (95%) -0.0231
Modified ES (95%) -0.0472
From Trough To Depth Length To Trough Recovery
2007-10-11 2009-03-09 2010-12-17 -0.5936 803 353 450
2020-02-21 2020-03-18 2020-07-29 -0.3880 111 19 92
2011-07-08 2011-10-03 2012-09-13 -0.2893 300 61 239
2015-06-24 2016-02-11 2017-02-09 -0.2731 412 161 251
2018-09-05 2018-12-24 2019-07-24 -0.2630 222 77 145

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA 0.7 0.8 -1.1 0.7 -1.4 1.4 1.6 2.1 0.4 1.2 -0.2 6
2005 0.7 0.7 -0.2 0.1 0.5 0.1 0.6 0.2 0.6 0.2 1.8 -0.7 4.7
2006 0.5 1.8 0.5 -0.5 2 0.6 -1.7 0.4 -0.7 -1.6 -0.5 -0.8 0
2007 1.1 -0.2 0.1 -0.1 0.7 -0.1 0.3 1.3 1.8 -2.9 0.1 -0.6 1.6
2008 2.8 -2.4 3.1 1.5 0.7 -0.1 0.3 -0.7 -1 3.9 -10.8 2.7 -0.9
2009 -1.7 -0.6 1.1 0.4 3.6 1.4 0.1 -2.4 -3.3 -2.6 1.6 -1 -3.6
2010 1.6 2.3 0.9 -2.6 -2.9 -0.7 0.2 3.6 0.5 -0.5 2.1 -0.7 3.6
2011 2 -1.9 0.4 0.4 -3.1 1.6 -0.7 -1.8 -3 -3 -0.5 -0.4 -9.6
2012 2 0.8 -0.1 0.3 -3.3 3.4 -1.7 0.5 0 1.6 -0.2 2.1 5.3
2013 0.9 0.5 -1.1 -1.8 -0.9 1.7 1.8 -1.2 1.4 -0.3 -0.1 0.5 1.3
2014 -0.3 -0.5 1.3 0.1 -0.5 0.8 -0.5 0.7 -1.5 1.5 -1.6 -0.6 -1.4
2015 -1.6 -0.4 1.3 0.9 0.4 0.2 0.5 -2.6 0 -0.3 0.6 -0.9 -2
2016 0 2.2 0.4 -0.8 0.7 0.3 0.3 0.2 0.8 -1 -1 -0.3 1.7
2017 -0.2 1.5 0.2 0.5 1.7 0.1 0.1 0.3 0.4 -0.4 -0.3 -0.6 3.3
2018 0.3 -0.5 1.3 0.5 0.9 0.1 0.4 0.4 -1.2 2.3 0.5 1.3 6.4
2019 0.4 1.1 1 -1.1 -0.9 0.7 -1 -0.2 -1.7 1.6 -0.7 0.3 -0.6
2020 -1.9 -0.5 -5.8 -3.3 1 0.6 -0.3 1.2 1.6 -1.5 0.4 -0.1 -8.5
2021 2.3 3.1 1 NA NA NA NA NA NA NA NA NA 6.5

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart